Hi
You show a letter "a" rotating.
In fact it IS rotating around its centre. With this font the character "square" is actually a rectangle with the letter set below the centre. ....

When printed in the centre of the screen the rotation effect rotates the screen image around character RECTANGLE centre and not the centre of the actual character which is slightly lower (Yellow box). The black cross represents the screen centre and the character rectangle centre which are coincident.

The clip frame or any correctly centred regular shape would rotate correctly around its centre. A line of centred text would actually appear to rotate reasonably OK (depending on the font) but would still be be doing the same but in this case the displacement of the height centre would be tiny compared with the length of the line.
Borate has one solution.....and another which might work is to use the POSITION effect to pull up the character and centre it by counting the chequer board squares on each side. Now apply the rotation effect. Note that this solution rotates the FRAME containing the text around its centre. But as the frame has been displaced it should correct the fault.
Although probably not relevant , Webding characters are square.
Nat